Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 5 | 6 |
| Score | -5.91 | -3.9 | -3.74 |
| Market Cap (Millions USD) | 17.5 | 16.88 | 18.04 |
| Predicted Beta | 0.26 | 0.27 | 0.28 |
| Idiosyncratic Volatility | 0.98 | 1.06 | 1.75 |
Annualized return and volatility
| ADRA | |
|---|---|
| Annualized Return | 0.0695 |
| Annualized Std Dev | 0.2341 |
| Annualized Sharpe (Rf=0%) | 0.2968 |
Row
Daily Return Statistics
| ADRA | |
|---|---|
| Observations | 4381.0000 |
| NAs | 733.0000 |
| Minimum | -0.1159 |
| Quartile 1 | -0.0058 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1791 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | 0.3581 |
| Kurtosis | 11.6137 |
Downside Risk
| ADRA | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0115 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.5920 |
| Historical VaR (95%) | -0.0223 |
| Historical ES (95%) | -0.0350 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0189 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2015-04-22 | -0.5920 | 1915 | 273 | 1642 |
| 2015-04-28 | 2016-02-11 | 2017-06-08 | -0.2946 | 541 | 204 | 337 |
| 2018-01-30 | 2018-12-21 | NA | -0.2481 | 489 | 231 | NA |
| 2006-05-10 | 2006-06-13 | 2007-01-23 | -0.2148 | 180 | 24 | 156 |
| 2004-04-06 | 2004-05-17 | 2004-12-31 | -0.1791 | 189 | 30 | 159 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ADRA | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2003 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 | 0.0 | 2.0 | 0.0 | 2.1 |
| 2004 | 0.0 | 2.2 | 0.1 | 0.0 | -0.1 | -0.4 | 0.0 | 0.7 | 1.9 | -0.3 | 1.0 | 0.0 | 5.2 |
| 2005 | 0.4 | 0.1 | -0.2 | 0.0 | 0.8 | 0.0 | 0.7 | 0.9 | 0.0 | 0.8 | 1.9 | 0.0 | 5.5 |
| 2006 | -0.3 | 0.7 | 0.0 | 0.3 | 1.0 | 0.0 | -1.6 | 0.8 | 0.0 | -0.6 | -0.7 | 0.0 | -0.3 |
| 2007 | 1.0 | -1.2 | 0.0 | 0.5 | 1.0 | 0.0 | -2.2 | 0.0 | 2.3 | -3.6 | 0.0 | 0.0 | -2.3 |
| 2008 | 2.3 | 0.0 | 3.6 | 0.9 | 0.0 | -1.0 | -1.0 | 0.0 | -0.7 | 0.0 | -6.7 | 0.0 | -3.0 |
| 2009 | 0.0 | 0.0 | 4.0 | 1.2 | 3.4 | 1.1 | 0.0 | -1.5 | -2.9 | 0.0 | 2.8 | 0.0 | 8.1 |
| 2010 | 2.4 | 1.1 | 1.5 | 0.0 | -2.2 | -0.5 | 0.0 | 2.6 | 1.2 | 0.2 | 2.3 | 0.0 | 8.6 |
| 2011 | 1.9 | -0.2 | 0.5 | 0.0 | -0.9 | 0.6 | -0.4 | 0.2 | 0.0 | -2.2 | -0.6 | 0.0 | -1.2 |
| 2012 | 1.4 | 0.8 | 0.0 | -0.8 | -1.8 | 0.0 | -0.7 | 0.0 | 0.0 | -0.4 | 0.0 | 0.0 | -1.4 |
| 2013 | 0.9 | -0.2 | -2.0 | -1.2 | 0.0 | 1.7 | 1.5 | 0.0 | -0.4 | 0.8 | 0.0 | 0.0 | 1.2 |
| 2014 | 0.0 | 0.0 | 0.6 | -1.4 | 0.0 | 0.4 | 0.7 | 0.0 | -0.9 | 0.0 | -1.6 | 0.0 | -2.1 |
| 2015 | 0.0 | 0.0 | -0.2 | 0.3 | 0.0 | -0.4 | 0.0 | -3.8 | 2.0 | 0.0 | 2.8 | 0.0 | 0.5 |
| 2016 | 1.8 | 0.9 | -1.4 | 0.0 | -0.1 | 0.0 | 0.8 | 1.0 | 0.0 | 0.0 | -0.9 | 0.0 | 1.9 |
| 2017 | 0.3 | 1.0 | 0.0 | 0.5 | 0.5 | 0.0 | 0.8 | 0.7 | 0.0 | 1.3 | -1.1 | 0.0 | 4.0 |
| 2018 | -0.5 | -1.5 | 0.0 | 0.0 | 0.8 | 0.0 | -1.0 | 0.0 | 0.0 | 2.4 | 0.0 | 0.0 | 0.1 |
| 2019 | -0.6 | 0.0 | 2.5 | 0.7 | 0.0 | 1.5 | -1.3 | 0.0 | -2.6 | 1.2 | 0.0 | -0.3 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
